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Functional data analysis for Brazilian term structure of interest rate curves
(Lociedade Brasileira de Finanças, 2022)
The determination of the exchange rate: a new-developmental approach
This paper discusses the long-term determination of the exchange rate, given that it may remain depreciated or overvalued for some time. It defines the equilibrium exchange rate and the competitive exchange rate; the latter ...
Equilibrium interest rates under inflation targeting: evidence from Brazil
(2020-05-22)
The real equilibrium interest rate (r*) is a fundamental concept for monetary policy in inflation targeting economies, since it is the real interest rate consistent with constant inflation, absent any shocks. This study ...
Real business cycles in emerging economies: the role of international growth and interest rate.
(Universidad Nacional Autónoma de México, 2012-03)
This paper is aimed at developing a business-cycle model for a small open emerging economy (SOEE). The model is parameterized, calibrated, and simulated to rationalize two important stylized facts in a SOEE. The first one ...
Log-Gamma Motion As Flexible Model For Generalized Interest Rates
(2018)
Negative, oscillating, and near zero interest rates are changing financial modeling completely. To address this situation, we introduce novel, flexible, and estimable model of interest rate. This model is based on recent ...
Generalized interest rate dynamics and its impacts on finance and pensions
(2017)
The recent global financial crisis caused implementation of negative or close to zero interest rates. This situation implies a necessity to study a flexible and simplistic model of interest rate, which well accommodates ...